Message
SecurityRiskMetricsReport (EG)
| ID | 169 |
| Pedigree | Added EP288 |
SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.
Field | Name | Type | Req'd | Comments | Pedigree |
|---|---|---|---|---|---|
StandardHeader | Y | MsgType(35)=EG | Added EP288 | ||
2988 | Y | Added EP288 | |||
2989 | May be used to identify the group of related instruments provided in SecurityRiskMetricGrp. Conditionally required when RiskMetricsSecuritySubGroup(2990) is present. | Added EP288 | |||
2990 | May be used with RiskMetricsSecurityGroup(2989) to provide a more granular group identification. | Added EP288 | |||
60 | Added EP288 | ||||
UnderlyingInstrument | UnderlyingPx(810) within the component may be used when valuation calculation uses a single reference price. | Added EP288 | |||
2991 | May be used to specify the (best) bid of the underlying instrument when valuation calculation uses real-time prices. | Added EP288 | |||
2992 | May be used to specify the (best) offer of the underlying instrument when valuation calculation uses real-time prices. | Added EP288 | |||
2993 | Added EP288 | ||||
1190 | May be used to identify the risk free rate used in the pricing model specified. | Added EP288 | |||
2994 | Added EP288 | ||||
893 | Added EP288 | ||||
SecurityRiskMetricGrp | Added EP288 | ||||
StandardTrailer | Y | Added EP288 |
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